Locally Private Mean Estimation: Z-test and Tight Confidence Intervals

Abstract: This work provides tight upper- and lower-bounds for the problem of mean estimation under $\epsilon$-differential privacy in the local model, when the input is composed of $n$ i.i.d. drawn samples from a normal distribution with variance $\sigma$. Our algorithms result in a $(1-\beta)$-confidence interval for the underlying distribution's mean $\mu$ of length $$\tilde O\left( \frac{\sigma \sqrt{\log(\frac 1 \beta)}}{\epsilon\sqrt n} \right)$$. In addition, our algorithms leverage binary search using local differential privacy for quantile estimation, a result which may be of separate interest. Moreover, we prove a matching lower-bound (up to poly-log factors), showing that any one-shot (each individual is presented with a single query) local differentially private algorithm must return an interval of length $$\Omega\left( \frac{\sigma\sqrt{\log(1/\beta)}}{\epsilon\sqrt{n}}\right)$$.